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Application of downside beta for risk assessment based on the example of companies listed at warsaw stock exchange in the bull and bear market phases [PDF]
Acta Universitatis Nicolai Copernici, Ekonomia, 2010 The main aim of research was to check if downside risk is priced at Warsaw Stock Exchange. The analyzing of changing in models parameters in different phase of economic situation was the additional aim. Semi-variance was better measure of risk then variance in capital asset pricing model.
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A remark on mean‐semivariance behaviour: Downside risk and capital asset pricing
International Journal of Finance and Economics, 2023Sree Venkataraman
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Conventional and downside CAPM: The case of London stock exchange
Global Finance Journal, 2022Saqib Amin +2 more
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Η σχέση μεταξύ αναμενόμενης απόδοσης και Downside Beta
2015The study of the relationship expected return and risk is one of the greatest challenges for researchers, since 1952 when the H.Markowitz founded the Modern Portfolio Theory. Both in academic and in applied research equilibrium models dominate, based on mean-variance environment (Expected Return-Variance or E-V), because of their simplicity.
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Traditional Beta, Downside Risk Beta, and Market Risk Premiums
CFA Digest, 2005openaire +1 more source
The Downside Risk and Equity Evaluation: Emerging Market Evidence
Journal of Emerging Market Finance, 2004Dar-Hsin Chen
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Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market
International Journal of Emerging MarketsDivya Aggarwal, Pitabas Mohanty
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Does downside risk matter more in asset pricing? Evidence from China
Emerging Markets Review, 2019Heba Ali
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